Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0045 |
| Annualized Std Dev | 0.0930 |
| Annualized Sharpe (Rf=0%) | -0.0486 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3842.0000 |
| NAs | 1.0000 |
| Minimum | -0.0307 |
| Quartile 1 | -0.0034 |
| Median | 0.0001 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0033 |
| Maximum | 0.0367 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0002 |
| Variance | 0.0000 |
| Stdev | 0.0059 |
| Skewness | 0.0679 |
| Kurtosis | 2.6539 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0041 |
| Gain Deviation | 0.0040 |
| Loss Deviation | 0.0040 |
| Downside Deviation (MAR=210%) | 0.0101 |
| Downside Deviation (Rf=0%) | 0.0041 |
| Downside Deviation (0%) | 0.0041 |
| Maximum Drawdown | 0.3698 |
| Historical VaR (95%) | -0.0093 |
| Historical ES (95%) | -0.0133 |
| Modified VaR (95%) | -0.0092 |
| Modified ES (95%) | -0.0132 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2008-04-23 | 2020-03-20 | NA | -0.3698 | 3251 | 2999 | NA |
| 2007-11-27 | 2007-12-20 | 2008-01-30 | -0.0387 | 44 | 18 | 26 |
| 2006-01-24 | 2006-02-27 | 2006-04-18 | -0.0368 | 59 | 24 | 35 |
| 2006-05-15 | 2006-07-18 | 2006-11-22 | -0.0327 | 135 | 45 | 90 |
| 2006-12-04 | 2007-01-11 | 2007-03-20 | -0.0325 | 72 | 26 | 46 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.1 | -0.1 |
| 2006 | -0.9 | -0.2 | -0.3 | -0.5 | -0.3 | 1 | 0.3 | 0 | -0.2 | -0.3 | 0.5 | 0.4 | -0.5 |
| 2007 | -0.4 | -0.6 | 0.2 | -0.6 | -0.4 | 0.7 | -0.4 | 0 | -0.4 | -0.4 | -0.7 | -0.9 | -3.8 |
| 2008 | -0.8 | -0.2 | -1.4 | -1.2 | 0.4 | 0 | -0.7 | -0.1 | -0.6 | -1.5 | -1.1 | -0.8 | -7.7 |
| 2009 | -1.2 | -0.5 | -0.4 | 0.2 | 0.2 | 0.8 | 1.3 | -0.8 | -0.8 | -0.8 | 0.5 | -0.1 | -1.6 |
| 2010 | 0.5 | -0.4 | 0.6 | 0.5 | -0.3 | 2.4 | -0.3 | 1 | 1.1 | -0.2 | 1.2 | 0.6 | 6.8 |
| 2011 | 1 | -0.2 | 0.4 | -0.1 | -0.4 | 0.2 | -0.8 | -0.7 | -1.4 | -1 | 0.2 | -0.2 | -3 |
| 2012 | 0.5 | -0.1 | 0.3 | 0 | 0.4 | 1.7 | -0.7 | 0.5 | 0.3 | -0.1 | 0.2 | -0.2 | 2.9 |
| 2013 | 0.6 | -0.2 | 0.2 | 0.1 | -0.3 | 0.4 | -0.8 | -0.2 | 0.1 | -0.6 | 0.1 | -0.3 | -1 |
| 2014 | -0.4 | 0.7 | 0.1 | 0 | 0.2 | -0.1 | 0.2 | -0.4 | -0.1 | -0.5 | 0.3 | -0.4 | -0.5 |
| 2015 | -0.2 | 0 | 0.1 | -0.2 | -0.6 | -0.8 | 0.5 | 0.7 | 0.1 | 0.2 | 0.6 | -0.6 | -0.2 |
| 2016 | 0.6 | -0.1 | 0.1 | 0.9 | 0.6 | 0.4 | -0.1 | 0.4 | 0.2 | 0.7 | 0.6 | 0.4 | 4.7 |
| 2017 | -0.3 | -0.5 | -0.1 | 0 | -0.2 | -0.2 | -0.3 | -0.4 | 0.3 | -0.3 | -0.1 | 0.5 | -1.5 |
| 2018 | 0.7 | 0.5 | 0 | -0.7 | -0.3 | 1 | -0.2 | -0.6 | -0.3 | 0.7 | -0.6 | 0.1 | 0.4 |
| 2019 | 0.1 | -0.1 | -0.1 | -0.2 | 0.4 | -0.8 | 0.2 | -0.6 | 0.3 | 0.2 | 0.1 | 0.1 | -0.2 |
| 2020 | 0.5 | 0.5 | -0.7 | 0.2 | 0.3 | 0.2 | -0.6 | -0.2 | 0.2 | -0.3 | 1.2 | -0.6 | 0.6 |
| 2021 | -0.6 | -0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.8 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2005-12-12 120. SPY 126. 0.0009 -0.001 0.0252 0.0226 0.0505 0.393 -0.0818 GLD 52.6 0.0031 0.0351
2 2005-12-13 120. SPY 127. 0.0068 0.0039 0.0287 0.0333 0.054 0.403 -0.0606 GLD 51.6 -0.0173 0.0149
3 2005-12-14 120. SPY 128. 0.0039 0.0137 0.0333 0.0378 0.0573 0.431 -0.0437 GLD 50.4 -0.0252 -0.0189
4 2005-12-15 120. SPY 127. -0.00290 0.0114 0.0341 0.0319 0.0549 0.390 -0.0487 GLD 50.2 -0.0022 -0.032
5 2005-12-16 120. SPY 126. -0.0032 0.0056 0.0287 0.032 0.0636 0.398 -0.0836 GLD 50.1 -0.003 -0.0441
6 2005-12-19 120. SPY 126. -0.0051 -0.0059 0.0086 0.03 0.0522 0.400 -0.0893 GLD 50.2 0.0026 -0.0445
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
